Mathematical Programming for Economist

Aims of the course

- To acquaint the student with basic notions and algorithms of mathematical programming.
- To introduce the student to the use of these in (mathematical) modelling in economics.

Course syllabus

1. Mathematical programming, basic notions, important special cases
2. Unconditional optimization
2.1. Necessary conditions
2.2. Sufficient conditions
2.3. Steepest descend method
3. Constrained optimizaton, the Lagrange method
3.1. Necessary conditions
3.2. Sufficient conditions
4. Postoptimal analysis (envelope theorems)
5. Convex programs
6. Linear programming (recapitulation)
7. Integer linear programming
7.1. Linear relaxations
7.2. Methods of solution
7.2.1. By cutting planes
7.2.2. "Branch and bound" method
7.3. Examples of application
8. Dynamic programming

Course director(s)